On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
| Year of publication: |
2007
|
|---|---|
| Authors: | Alòs, Elisa ; León, Jorge ; Vives, Josep |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 4, p. 571-589
|
| Publisher: |
Springer |
| Subject: | Black-Scholes formula | Derivative operator | Itô’s formula for the Skorohod integral | Jump-diffusion stochastic volatility model |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005184359